US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR OCT 29

EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)

             USZ    USF     TYZ    TYF     FVZ    FVF     EDX     EDZ

1245        8.19%  8.07%   4.58%  4.48%   2.96%  2.91%   22.50%  24.29%

TUE OPEN    8.30%  8.05%   4.63%  4.48%   3.00%  2.90%   20.45%  25.43%

MON 1500    8.33%  8.10%   4.55%  4.53%   2.97%  2.91%   20.50%  24.70%

MON OPEN    8.05%  7.88%   4.47%  4.41%   2.95%  2.98%   22.00%  24.15%

FRI 1500    7.86%   N/A    4.40%   N/A    2.86%   N/A    21.40%  24.65%

FRI OPEN    7.97%   N/A    4.49%   N/A    2.93%   N/A    21.25%  24.75%

THU 1500    8.12%   N/A    4.54%   N/A    3.05%   N/A    21.95%  25.00%

THU OPEN    8.10%   N/A    4.69%   N/A    3.12%   N/A    23.05%  26.90%

WED 1500    8.43%   N/A    4.80%   N/A    3.18%   N/A    22.75%  25.77%

WED OPEN    8.58%   N/A    4.94%   N/A    3.25%   N/A    24.30%  26.10%

TUE 1500    8.83%   N/A    4.92%   N/A    3.27%   N/A    24.65%  26.85%

TUE OPEN    8.94%   N/A    5.04%   N/A    3.33%   N/A    24.22%  26.43%

LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

DEC19 10Y NOTE  132.00 C  180,716  +26,365   128.00 P  148,245   +5,792

JAN20 10Y NOTE  131.50 C   52,137  +44,514   127.50 P   15,170   +8,512

DEC19 5Y NOTE   119.50 C   65,270   +2,216   116.00 P   87,846  +45,817

JAN20 5Y NOTE   119.50 C   23,416  +22,800   118.00 P    8,322   +7,325

DEC19 2Y NOTE   108.00 C   29,078     UNCH   107.50 P   23,125   +3,295

JAN20 2Y NOTE   108.12 C      200     UNCH   105.62 P    3,692     UNCH

NOV19 EURODLR    98.12 C  178,106   -5,840    97.87 P  148,610   -4,826

DEC19 EURODLR    98.37 C  677,894  -11,640    97.25 P1,066,055     UNCH

DEC20 1Y-MIDC    98.87 C  192,466     -395    98.12 P  196,274     UNCH

DEC21 2Y-MIDC    98.50 C   91,885     UNCH    97.37 P  125,829     UNCH

DEC22 3Y-MIDC    97.37 C   52,101     UNCH    97.37 P   63,651     UNCH

NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL   CHANGE

DEC19 10Y NOTE  129.00 C   14,186   +1,771   129.00 P   84,027   +3,417

DEC19 10Y NOTE  129.50 C   24,380     -275   129.50 P   65,082   -2,830

JAN20 10Y NOTE  129.00 C    5,573   +5,410   129.00 P    6,467   +2,190

JAN20 10Y NOTE  129.50 C    5,441     +829   129.50 P    8,314     -246

DEC19 5Y NOTE   118.50 C    4,180   +2,676   118.50 P   21,381      +13

DEC19 5Y NOTE   118.75 C   11,693     +300   118.75 P   40,883     -646

JAN20 5Y NOTE   119.00 C      248      -18   119.00 P      248     UNCH

JAN20 5Y NOTE   119.25 C    5,241      +96   119.25 P    5,290     UNCH

DEC19 2Y NOTE   107.50 C    1,172      +36   107.50 P   23,125   +3,295

DEC19 2Y NOTE   107.62 C    1,629   +1,024   107.62 P    1,896      -62

JAN20 2Y NOTE   107.75 C       78      +78   107.75 P      201     +198

JAN20 2Y NOTE   107.88 C        6       +5   107.88 P       78     UNCH

NOV19 EURODLR    98.00 C   80,393   -6,750    98.00 P  121,532      +92

NOV19 EURODLR    98.12 C  178,106   -5,840    98.12 P   44,735   +2,825

DEC19 EURODLR    98.00 C  333,453      +19    98.00 P  405,089     UNCH

DEC19 EURODLR    98.12 C  447,845  -20,106    98.12 P  198,143   +5,948

DEC20 1Y-MIDC    98.50 C   91,238     UNCH    98.50 P   96,312   -1,000

DEC20 1Y-MIDC    98.62 C  130,174   +2,425    98.62 P   51,718     UNCH

DEC21 2Y-MIDC    98.50 C   91,885     UNCH    98.50 P   49,424     UNCH

DEC21 2Y-MIDC    98.62 C   58,807     -150    98.62 P   21,340     UNCH

DEC22 3Y-MIDC    98.50 C   33,851     UNCH    98.50 P   13,512     UNCH

DEC22 3Y-MIDC    98.62 C   31,927     UNCH    98.62 P   18,440     UNCH

PUT/CALL RATIO FOR VOLUME CLEARED:

DEC19 10Y NOTE PUT/CALL RATIO   -- 1.51 (264,013 PUTS VS. 175,179 CALLS)

JAN20 10Y NOTE PUT/CALL RATIO   -- 0.27 (42,362 PUTS VS. 155,550 CALLS)

DEC19 5Y NOTE PUT/CALL RATIO    -- 2.03 (128,415 PUTS VS. 63,968 CALLS)

JAN20 5Y NOTE PUT/CALL RATIO    -- 0.24 (17,648 PUTS VS. 69,785 CALLS)

DEC19 2Y NOTE PUT/CALL RATIO    -- 1.55 (14,153 PUTS VS. 9,152 CALLS)

JAN20 2Y NOTE PUT/CALL RATIO    -- 6.52 (737 PUTS VS. 113 CALLS)

NOV19 EURODLRS PUT/CALL RATIO   -- 1.09 (35,550 PUTS VS. 32,002 CALLS)

DEC19 EURODLRS PUT/CALL RATIO   -- 0.19 (66,804 PUTS VS. 341,186 CALLS)

DEC20 1Y-MIDCRVE PUT/CALL RATIO -- 1.41 (24,693 PUTS VS. 17,493 CALLS)

DEC21 2Y-MIDCRVE PUT/CALL RATIO -- 2.06 (13,475 PUTS VS. 6,550 CALLS)

DEC22 3Y-MIDCRVE PUT/CALL RATIO -- 2.70 (10,000 PUTS VS. 3,720 CALLS)

(VOLUME, OPEN INTEREST, RATIOS ALL REFLECT PRIOR SESSION'S DATA)

Swaption BP/Vol Via Bloomberg:

Time (ET)   3M/2Y   1M/10Y    3M/5Y   3M/10Y    2Y/10Y    5Y/5Y

1245        66.51    71.09    69.02    68.12    65.55     64.34

Tue Open    67.07    71.10    68.96    68.02    65.45     64.26

Mon 1500    67.09    70.77    68.92    68.17    65.53     65.02

Mon Open    67.85    69.45    68.55    67.55    65.90     64.94

Fri 1500    68.33    68.28    68.05    67.23    66.06     64.92

Fri Open    72.17    70.73    72.32    68.84    66.36     65.30

Thu 1500    72.94    70.68    72.09    69.38    66.72     65.51

Thu Open    73.20    74.92    74.25    71.52    67.06     65.93

Wed 1500    73.46    75.59    74.71    72.23    67.04     65.88

Wed Open    74.61    78.82    75.86    73.63    67.14     65.89

Tue 1500    74.94    80.75    76.48    73.96    67.10     65.86

Tue Open    75.78    81.40    77.17    74.55    67.03     65.89

--MNI Chicago Bureau; tel: +1 312-431-0089; email: bill.sokolis@marketnews.com

[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$]